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Accurate segmentation of the prostate is a key step in external beam radiation therapy treatments. In this paper, we tackle the challenging task of prostate segmentation in CT images by a two-stage network with 1) the first stage to fast localize, and 2) the second stage to accurately segment the prostate. To precisely segment the prostate in the second stage, we formulate prostate segmentation into a multi-task learning framework, which includes a main task to segment the prostate, and an auxiliary task to delineate the prostate boundary. Here, the second task is applied to provide additional guidance of unclear prostate boundary in CT images. Besides, the conventional multi-task deep networks typically share most of the parameters (i.e., feature representations) across all tasks, which may limit their data fitting ability, as the specificities of different tasks are inevitably ignored. By contrast, we solve them by a hierarchically-fused U-Net structure, namely HF-UNet. The HF-UNet has two complementary branches for two tasks, with the novel proposed attention-based task consistency learning block to communicate at each level between the two decoding branches. Therefore, HF-UNet endows the ability to learn hierarchically the shared representations for different tasks, and preserve the specificities of learned representations for different tasks simultaneously. We did extensive evaluations of the proposed method on a large planning CT image dataset, including images acquired from 339 patients. The experimental results show HF-UNet outperforms the conventional multi-task network architectures and the state-of-the-art methods.